Overreaction to the 2015 Greek debt crisis: a study on FTSE, CAC & DAX
Carregando...
Arquivos
Data
2016-09-26
Autores
Orientador(res)
Pereira, Pedro L. Valls
Pereira, João Pedro
Métricas
Título da Revista
ISSN da Revista
Título de Volume
Resumo
The Greek crisis happened in a total of three peaks, the last one happening during the Summer 2015. Western European financial sectors as well as financial markets in general in Europe were hardly hit despite the fact that private sectors in Europe widely reduced their exposure to Greece. In this research paper, we aim to test for Overreaction on the FTSE 100, DAX 30, and CAC40. The Overreaction Hypothesis states that overreacting indices display an asymmetric mean and variance. In this optic, we test for ARCH type models on the previously cited markets.